Modeling structural changes in the volatility process

Bart Frijns; Thorsten Lehnert; Remco C. J. Zwinkels

Year of publication:	2011
Authors:	Frijns, Bart ; Lehnert, Thorsten ; Zwinkels, Remco C. J.
Published in:	Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 18.2011, 3, p. 522-532
Subject:	GARCH \| Time varying coefficients \| Multinomial logit \| Volatilität \| Volatility \| ARCH-Modell \| ARCH model \| Logit-Modell \| Logit model \| Schätzung \| Estimation \| Strukturwandel \| Structural change \| Zeitreihenanalyse \| Time series analysis \| Schätztheorie \| Estimation theory

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